I just tested the same file your AVG reports. I downloaded it from
http://download.entropiauniverse.com
My AVG (paid version 9.0) does not show any error.
This leads to three conclusions:
1) your AVG is wrong, contains an error, or similar Tell it to ignore this virus and to allow this file to run anyway
or
2) your computer is indeed infected and it is infecting anything that comes in your computer
or
3) The download doesn't complete correctly somehow
To test this, download the same file from the same location, and scan it.
If your AVG then says everything is okay, copy the file to the main entropia universe directory (usually c:\program files\entropia universe) and run it.
If your AVG then says something is wrong, it is either 1) or 2).
Use an online scanner such as
http://housecall.antivirus.com
If that one says everything is okay, then you have 1)
If you have 2), format+reinstall time, plus time to restore that known good backup of userfiles you made in cases like this.